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So... I've never managed to do ANY of the things listed above. Either I'm extremely lucky or I pay attention to what I'm doing in my game. I would be okay with toggleable warnings, but warnings that appear because OTHER people are careless would really start to annoy me after a very short time. I'm not so careless that I disband ships with retinues, mercenaries, or even levies aboard them. I'm not so careless as to disband the mercenaries I just spent half my treasury hiring until I'm sure I want them disbanded. And I've never built a holding outside my own demesne. I didn't know it was possible to do that until a few months ago, and I still can't see how it's possible to do that by accident.

Just be more careful where you click and make sure that you mean what you're about to do. Take half a second to check yourself, and you'll be fine. You shouldn't have to have your hand held through all of this. That's just my opinion.

I agree that warnings for things that one may reasonably want to do (e.g. disband mercenaries, build a holding outside your demesne) could get annoying if not toggleable, and I'd be happy if they remain absent, but I really can't see any use for disbanding ships with troops on them; especially retinues. Things such as these should have warnings, IMO.

I also agree on being careful. When I was new to the game, I disbanded mercenaries accidentally not infrequently, but can't remember when I last did it. I've also only disbanded ships with troops on them twice and only built a holding in the wrong demesne once in over 1000 hours of play.
 
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You can just just use the military screen to disband troops. In there it's extremely easy to not disband mercenaries and retinues. And it's also easier to disband troops from in there.

As for you suggestiom, no. Paying attention is the best warning we can get. If you ask me it's not that hard to see if a province is mine or if it belong to some random dude.

This is actually how I got into trouble. I used the military screen to disband some ships forgetting that I had some ships with retinues and mercenaries on them.